Accounting for risk aversion in derivatives purchase timing

DOI10.1007/s11579-012-0063-8zbMath1260.91240OpenAlexW3122661269MaRDI QIDQ1938997

Michael Ludkovski, Tim Leung

Publication date: 26 February 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-012-0063-8

zbMATH Keywords

risk aversionindifference pricingsequential purchase timingstochastic control with optimal stopping

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Impact of risk aversion and belief heterogeneity on trading of defaultable claims ⋮ AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING ⋮ Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics ⋮ INDIFFERENCE PRICES AND IMPLIED VOLATILITIES ⋮ RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES

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